AMGL[Strategy] vs INav[Benchmark]

30 Jul, 2025 - 21 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	26.92%	26.47%
CAGR﹪	21.43%	21.08%
Sharpe	0.6	0.52
Prob. Sharpe Ratio	38.56%	32.97%
Smart Sharpe	0.56	0.49
Sortino	0.85	0.79
Smart Sortino	0.79	0.74
Sortino/√2	0.6	0.56
Smart Sortino/√2	0.56	0.52
Omega	1.1	1.1
Max Drawdown	-27.94%	-28.56%
Longest DD Days	232	232
Volatility (ann.)	27.08%	34.35%
R^2	0.49	0.49
Information Ratio	-0.0	-0.0
Calmar	0.77	0.74
Skew	-0.38	1.04
Kurtosis	2.57	21.62
Expected Daily	0.08%	0.08%
Expected Monthly	1.5%	1.48%
Expected Yearly	12.66%	12.46%
Kelly Criterion	5.64%	8.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.71%	-3.46%
Expected Shortfall (cVaR)	-2.71%	-3.46%
Max Consecutive Wins	4	8
Max Consecutive Losses	5	8
Gain/Pain Ratio	0.15	0.16
Gain/Pain (1M)	0.82	0.89
Payoff Ratio	1.07	1.17
Profit Factor	1.15	1.16
Common Sense Ratio	1.24	1.18
CPC Index	0.63	0.68
Tail Ratio	1.07	1.02
Outlier Win Ratio	3.21	2.93
Outlier Loss Ratio	3.28	3.25
MTD	-2.27%	-2.16%
3M	6.69%	6.93%
6M	-7.58%	-7.9%
YTD	-2.2%	-2.54%
1Y	-4.51%	-4.34%
3Y (ann.)	21.43%	21.08%
5Y (ann.)	21.43%	21.08%
10Y (ann.)	21.43%	21.08%
All-time (ann.)	21.43%	21.08%
Best Day	5.23%	18.48%
Worst Day	-8.94%	-12.81%
Best Month	17.29%	17.26%
Worst Month	-8.51%	-8.21%
Best Year	29.76%	29.77%
Worst Year	-2.2%	-2.54%
Avg. Drawdown	-3.52%	-5.62%
Avg. Drawdown Days	22	37
Recovery Factor	0.96	0.93
Ulcer Index	0.13	0.13
Serenity Index	0.11	0.13
Avg. Up Month	7.91%	7.96%
Avg. Down Month	-5.01%	-5.03%
Win Days	51.32%	50.48%
Win Month	56.25%	50.0%
Win Quarter	66.67%	66.67%
Win Year	50.0%	50.0%
Beta	0.55	-
Alpha	0.09	-
Correlation	69.9%	-
Treynor Ratio	36.14%	-